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Empirical pricing kernels obtained from the UK index options market

Research output: Contribution to specialist publication › Letter

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Empirical pricing kernels obtained from the UK index options market. / Shackleton, Mark; Liu, Helena; Taylor, Stephen et al.
In: Applied Economics Letters, Vol. 16, No. 10, 2009, p. 989-993.

Research output: Contribution to specialist publication › Letter

Harvard

Shackleton, M, Liu, H, Taylor, S & Xu, G 2009, 'Empirical pricing kernels obtained from the UK index options market' Applied Economics Letters, vol. 16, no. 10, pp. 989-993. https://doi.org/10.1080/13504850701222210

APA

Shackleton, M., Liu, H., Taylor, S., & Xu, G. (2009). Empirical pricing kernels obtained from the UK index options market. Applied Economics Letters, 16(10), 989-993. https://doi.org/10.1080/13504850701222210

Vancouver

Shackleton M, Liu H, Taylor S, Xu G. Empirical pricing kernels obtained from the UK index options market. Applied Economics Letters. 2009;16(10):989-993. doi: 10.1080/13504850701222210

Author

Shackleton, Mark ; Liu, Helena ; Taylor, Stephen et al. / Empirical pricing kernels obtained from the UK index options market. In: Applied Economics Letters. 2009 ; Vol. 16, No. 10. pp. 989-993.

Bibtex

@misc{98609e139e0d44cd8d0534d488786e45,
title = "Empirical pricing kernels obtained from the UK index options market",
abstract = "Empirical pricing kernels for the UK equity market are derived as the ratio between risk-neutral densities, inferred from FTSE 100 index options, and historical real-world densities, estimated from time series of the index. The kernels thus obtained are almost compatible with a risk averse representative agent, unlike similar estimates for the US market.",
author = "Mark Shackleton and Helena Liu and Stephen Taylor and Gary Xu",
year = "2009",
doi = "10.1080/13504850701222210",
language = "English",
volume = "16",
pages = "989--993",
journal = "Applied Economics Letters",
issn = "1350-4851",
publisher = "Routledge",

}

RIS

TY - GEN

T1 - Empirical pricing kernels obtained from the UK index options market

AU - Shackleton, Mark

AU - Liu, Helena

AU - Taylor, Stephen

AU - Xu, Gary

PY - 2009

Y1 - 2009

N2 - Empirical pricing kernels for the UK equity market are derived as the ratio between risk-neutral densities, inferred from FTSE 100 index options, and historical real-world densities, estimated from time series of the index. The kernels thus obtained are almost compatible with a risk averse representative agent, unlike similar estimates for the US market.

AB - Empirical pricing kernels for the UK equity market are derived as the ratio between risk-neutral densities, inferred from FTSE 100 index options, and historical real-world densities, estimated from time series of the index. The kernels thus obtained are almost compatible with a risk averse representative agent, unlike similar estimates for the US market.

U2 - 10.1080/13504850701222210

DO - 10.1080/13504850701222210

M3 - Letter

VL - 16

SP - 989

EP - 993

JO - Applied Economics Letters

JF - Applied Economics Letters

SN - 1350-4851

ER -